pricing and valuation of floating rate bond

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?


Is the bond being valued after the issue date but before the first coupon date? In that case, the first coupon is for the period of issue date to first coupon date. Here’s an example:

Let’s say a 6% annual bond was issued on Jan 1 20xx, with first coupon of $30 due on Jul 1, 20xx. (3% of $1000 is $30). This $30 is for the 6 month period from Jan to Jun. On Mar 1, $10 is already earned (accrued interest) and $20 is yet to be earned. If we value the bond using the full first coupon ($30), the bond’s calculated value would be above par (unless the interest rate rises sufficiently to negate this effect)