Great question — answering as the UphillTech team:
You are sending traffic to my.affiliate-link.com, so it will show up in the analytics for that website. You are exiting when you click on www.mydomain.com/affiliate-link, so analytics will not get a chance to fire again. Your affiliate will get the source details added at their end. You would be better off getting a GA expert to answer this, but you would be best to track clicks with event tracking code, I assume.
Full answer by Lucas: https://stackoverflow.stackexchange.com/a/14639212 (CC BY-SA 3.0).
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