Use a combination of explicit cast the and null-coalescing operator:
.Select(item => new AccruedClass
{
Office = (string)item.Element("Office") ?? "0",
Account = (string)item.Element("Account") ?? "0",
KeyAccount = (string)item.Element("KeyAccount") ?? "0",
AccountType = (string)item.Element("AccountType") ?? "",
MSDWSecurityCode = (string)item.Element("MSDWSecurityCode") ?? "",
Cusip = (string)item.Element("Cusip") ?? "",
Mod1 = (string)item.Element("Mod1") ?? "",
AccruedInterest = (double?)item.Element("AccruedInterest") ?? 0D,
PriceFactor = (double?)item.Element("PriceFactor") ?? 0D,
Quantity = (double?)item.Element("Quantity") ?? 0D,
})
If the element / attribute doesn't exist, and the return type is nullable, the explicit cast operator returns null.