  We present a natural extension of the SABR model to price both backward and
forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets
can be priced using the market standard approximations of Hagan et al. (2002).
We provide closed-form effective SABR parameters for pricing backward-looking
RFR caplets. These results are useful for smile interpolation and for analyzing
backward and forward-looking smiles in normalized units.
