Q: Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds for VaR calculation

How is an interest rate swap mapped into a portfolio of zero-coupon bonds with standard maturities for the purpose of calculating VaR?

When a final exchange of principal is added, the floating leg is the equivalent of a zero-coupon bond with a maturity date equal to the date of the next payment. The fixed side is a coupon bearing bond which is equal to a portfolio of zero-coupon bonds. The swap can be mapped into a portfolio of zero-coupon bonds with maturity dates equal to the payment dates. Each of the zero-coupon bonds can then be mapped into positions in the adjacent standard-maturity zero-coupon bonds.