Syntax
CALENDAR(<start_date>, <end_date>)
Tutorial with example
Create a calendar with DAX in Power BI. Generate/ Create calendars in DAX using CALENDAR() and/or CALENDARAUTO().
Video keynotes:
01:02 Calendarauto function
03:02 Calendar function

And a bonus item, a blog post on how to create all kinds of calendars:
https://curbal.com/blog/create-power-bi-custom-calendars
Download example file:
Link to Power BI file: here.
Remarks
An error is returned if start_date is greater than end_date.
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