I am trying to understand how to calculate FHS VaR for a portofolio of vanilla swaps. I think I understand the main ideas behind FHS VaR and how to implement it for other assets such as equities. I have the historical underlying yield curves for the look-back period and I was thinking to reprice the swaps for each historical scenario and calculate returns as the difference between the swaps PV from each scenario and the today's PV. Then filter returns using EWMA or GARCH. Is this the right approach ? Could you suggest some papers that describe the implementation of the FHS VaR for swaps?

Thanks!