You can use a DataGridTemplateColumn for that purpose.
You can set the DataTemplate
of your column, like the following:
<DataGrid ItemsSource="{Binding MyObjectsProperty}">
<DataGrid.Columns>
<DataGridTemplateColumn Header="My calendar column">
<DataGridTemplateColumn.CellTemplate>
<DataTemplate>
<Border BorderBrush="Blue" Background="LightBlue" BorderThickness="2" Padding="10">
<TextBlock Text="{Binding MyDateProperty}" />
</Border>
</DataTemplate>
</DataGridTemplateColumn.CellTemplate>
</DataGridTemplateColumn>
</DataGrid.Columns>
</DataGrid>