type
 TEventsCalendar = class(TCustomControl)
 ...
   property Events: TCollection read FEvents write SetEvents;
 end;

constructor TEventsCalendar.Create(AOwner: TComponent);
begin
 inherited;
 FEvents := TCollection.Create(TEvent);
end;

 TEvent = class (TCollectionItem)
 private
   FDate: TDateTime;
   FCaption: string;
   FImageIndex: Integer;
   procedure SetCaption(const Value: string);
   procedure SetDate(const Value: TDateTime);
   procedure SetImageIndex(const Value: Integer);
 published
   property Caption: string read FCaption write SetCaption;
   property ImageIndex: Integer read FImageIndex write SetImageIndex;
   property Date: TDateTime read FDate write SetDate;
 end;

 RegisterPropertyEditor(TypeInfo(Integer), TEvent, 'ImageIndex', TIntegerProperty);

function GetOwner: TPersistent; override;

{ Collection class that maintains an "Owner" in order to obtain property
 path information at design-time }

 TOwnedCollection = class(TCollection)
 private
   FOwner: TPersistent;
 protected
   function GetOwner: TPersistent; override;
 public
   constructor Create(AOwner: TPersistent; ItemClass: TCollectionItemClass);
 end;

unit TMyComponentUnit;

interface

uses
 Classes, Controls, SysUtils;

type
 TEvent = class (TCollectionItem)
 private
   FDate: TDateTime;
   FCaption: string;
   FImageIndex: Integer;
   procedure SetCaption(const Value: string);
   procedure SetDate(const Value: TDateTime);
   procedure SetImageIndex(const Value: Integer);
 published
   property Caption: string read FCaption write SetCaption;
   property ImageIndex: Integer read FImageIndex write SetImageIndex;
   property Date: TDateTime read FDate write SetDate;
 end;

 TMyComponent = class(TCustomControl)
 private
   FEvents: TCollection;
   procedure SetEvents(const Value: TCollection);
 public
   constructor Create(AOwner: TComponent); override;
   destructor Destroy; override;
 published
   property Events: TCollection read FEvents write SetEvents;
 end;

procedure Register;

implementation

procedure Register;
begin
 RegisterComponents('Samples', [TMyComponent]);
end;

 { TMyComponent }

constructor TMyComponent.Create(AOwner: TComponent);
begin
 inherited;
 FEvents := TOwnedCollection.Create(Self, TEvent);
//  FEvents := TCollection.Create(TEvent);
end;

destructor TMyComponent.Destroy;
begin
 FreeAndNil(FEvents);
 inherited;
end;

procedure TMyComponent.SetEvents(const Value: TCollection);
begin
 FEvents.Assign(Value);
end;

{ TEvent }

procedure TEvent.SetCaption(const Value: string);
begin
 FCaption := Value;
end;

procedure TEvent.SetDate(const Value: TDateTime);
begin
 FDate := Value;
end;

procedure TEvent.SetImageIndex(const Value: Integer);
begin
 FImageIndex := Value;
end;

end.