Parsing SAML Request

Is there a class or method that can convert SAML request or response?

Yes. You’ll find these under the ComponentSpace.SAML.Protocols namespace.
The AuthnRequest and SAMLResponse classes model the SAML authn request and response messages used in SAML SSO.
These classes support serializing/deserializing messages to/from XML.
Note that if you use the SAML high-level API, you don’t need to work with these classes directly.