  In this paper we investigate the convergence rate of Euler-Maruyama scheme
for a class of stochastic differential delay equations, where the corresponding
coefficients may be highly nonlinear with respect to the delay variables. In
particular, we reveal that the convergence rate of Euler-Maruyama scheme is
1/2$ for the Brownian motion case, while show that it is best to use the
mean-square convergence for the pure jump case, and that the order of
mean-square convergence is close to 1/2.
