Tips/Traps when deal with Forward Contracts

Summaries

1. Interest rate forward contract uses add-on rules.
2. Interest rate forward contract uses 360 days as basis.
3. Treasury securities pay coupon every half years! So given 6% coupon rate, you have to see 2 cash flows each 3%.
4. Treasury securities and Currency forwards use compounding rate and 365-day basis
5. When dealing with continuous compounding, make sure the rate given is in continuous form, otherwise convert it to continuous form by In(1+r).