I try to make a P&L explanation of a swap from the delta, gamma, to the N instruments of the rate curve (money market, futures and swap). I use a perturbative shock of 1bp for each instrument of my rate curve used in the pricing:
the result I get is strongly degraded if I integrate the gamma in the P&L explanation (the P&L explain is better with Just delta Effect !) which is counter intuitive
Do you see a mistake in my approach ?