As an example: Trade date: 1/1/16 Maturity date: 2/29/16 Settlement (exchange of currencies) 3/31/16
Is the instrument between 2/29 and 3/31 still deemed a forward? The forward rate is determined so that the fair value is zero at 1/1/16 with expiry date 2/29/16.
Edit (2/7/16): Would the answer be different for the following cases:
- Forward is gross settled - i.e. two cash flows occur, each in their respective currencies
- Forward is net settled - only one cash flow occurs in USD determined as gain or loss on maturity using 2/19 fx rates. The cash flow itself occurs on 3/31.