You can see all your transactions associated with your addresses in any explorer or in other wallet like Electrum, and that means anything that you send or received before on all your addresses in ledger.
When ledger added Swap feature they just used  third party provider Changelly and any transaction done using them will also be seen same as any other transaction you made.

Doing taxes on Ledger Live app you can just go to Settings  - Operation History and Save CSV file for your account(s), or you can go to Accounts ⋯  and Export operation history.
Either way you will get the same CSV file for dealing with your taxes.


https://support.ledger.com/hc/en-us/articles/360014094879-Export-operation-history-as-CSV