I read a sentence from the note - Reading #40 - Pricing and valuation of forward commitments ： Because the relevant portion of the yield curve has shifted up, the fixed - rate liability has decreased in present value terms relative ot the floating -rate asset. The reason the floating-rate bond appears to have appreciated above par value is that we have included the accrued interest by valuing the full first coupon. (this paragraph is right after the example - valuing an interest rate swap between payment dates)
I don’t understand the last sentence. What does it mean "we included the accrued interest by valuing the full first coupon
Could anyone help?