I don't know who to go from normal to shifted black volatility before calibrating SABR with negative interest rates.
I see: "As we know that implied volatilities have a one-to-one relationship with prices, we can convert the normal volatilities into EUR prices and doing the same for an unknown Shifted Black volatility using the Shifted Black model and setting the equation equal to zero by changing the Shifted volatility. For this instrument, we use a shift parameter of 3%, as we have strikes that go beyond the −2% mark. "
But don't know how to do it.
Market Data is coming from page 82 of thesis: https://research-api.cbs.dk/ws/portalfiles/portal/62188286/818135_Master_Thesis_125476.pdf