ISDA Fallback as an option
Good new for those who have not signed ISDA fallback protocol: the value of your option is increasing. For this you have to thank the 1,791 firms that have signed already (figure provide in a Risk article - subscription required).
I have explained the option value of the fallback in previous blogs, e.g. Signing the LIBOR fallback protocol: a cautionary tale (again). More other firms sign it, more the value of your options is increasing.
For this post, I have put the option in a formula. The slide below is extracted from a recent workshop on "Benchmarks in transition"
It uses the type of notation I have introduce for the fallback in a Risks article on LIBOR Fallback and Quantitative Finance.