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I am trying to help a friend with her thesis on Counterparty Credit Risk where she intends to have a somewhat lengthy treatment on Credit Valuation Adjustment (CVA). Specifically I am looking to help her in including some computer simulated experiments which would hopefully illustrate CVA calculations under simulated scenarios.

I have been reading a bit on CVA and have got somewhat fair idea of what's going on. However, I am at a loss to find a document where the "Math" has been distilled and computational aspects highlighted, preferably from a programmer's point of view. I have come across a document, which is part of MATLAB's financial toolbox and it does give me some ideas.

I am looking for suggestions/pointers regarding the same.

PS: I am not averse to understanding the Math, just quite perplexed about the "only Math" aspect.

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