Merriment in grand shelter (4)
I believe the answer is:
glee
'merriment' is the definition.
(glee is a kind of merriment)
'grand shelter' is the wordplay.
'grand' becomes 'g' (G is short for grand as in a thousand).
'shelter' becomes 'lee' (as in lee side, the side sheltered from wind).
'g'+'lee'='GLEE'
'in' is the link.
(Other definitions for glee that I've seen before include "Unrestrained joy" , "Great merriment" , "Jewelled headband" , "TV show" , "Elation" .)