You don't say what phone you have nor how the update was installed (or which calendar app this is). Official Over-The-Air updates should not wipe anything, but the flip side of that is that you can sometimes have performance problems afterwards until you do a backup and wipe yourself. But as Mike says, things can go wrong.
If your calendar was neither synced nor backed-up then if it was actually erased, rather than the app settings changed so that it just isn't displayed, there's no way of recovering it. But I'd check the calendar app's "which calendars to display" settings just in case.