The last proton bound calcium isotope ^{35}Ca has been studied for the first time, using the ^{37}Ca(p,t)^{35}Ca two neutron transfer reaction. The radioactive ^{37}Ca nuclei, produced by the LISE spectrometer at GANIL, interacted with the protons of the liquid hydrogen target CRYPTA, to produce tritons t that were detected in the MUST2 detector array, in coincidence with the heavy residues Ca or Ar. The atomic mass of ^{35}Ca and the energy of its first 3/2^{+} state are reported. A large N=16 gap of 4.61(11) MeV is deduced from the mass measurement, which together with other measured properties, makes ^{36}Ca a doubly magic nucleus. The N=16 shell gaps in ^{36}Ca and ^{24}O are of similar amplitude, at both edges of the valley of stability. This feature is discussed in terms of nuclear forces involved, within state-of-the-art shell model calculations. Even though the global agreement with data is quite convincing, the calculations underestimate the size of the N=16 gap in ^{36}Ca by 840 keV.