One thing to know about trade caravans - they provide sight into the area around them, so they act like free scouts. Monsters at least used to eat them, I don't know if they still do because I rarely find the AI to be trustworthy enough that I'd bother making treaties with them, but that's just because I'd as soon conquer them before they decide that they should conquer me as let them live in peace while we both build up strength for a later war, at least if they are neighbors of mine. It also serves as a pathway directly to your capitol, and to the capitol of your trade partner, so if you wanted to start a fast war to take over the (probably) best city in your trading partner's empire, this is one way to find that city. Also works the other way, and can be really annoying if it happens to run a road through the territory of that really aggressive faction nearby, or through the wildlands.
I think if you look at the breakdown of your money income, you'll see an entry referring to trade, and that will tell you what you gain from trading. Although that might have been from an economic treaty. If trade caravans are like they were in War of Magic, then they provide a percentage bonus to the income of the city served by the trade route, in which case you should be able to see it in city details (this is also probably where any direct income bonuses from trade caravans show up). If it works like trade in Galactic Civilizations II, then the trade bonus is an income bonus of X gold per turn.
