You can have different calendars only if the ledger is different. If both companies resides in one ledger then you cannot have different calendars.
You can consolidate ledgers with different period. You will transfer the data from 1 Ledger Jan month to April(first period in consolidation ledger) in consolidation ledger.

And so on Feb to May.
That's how you will consolidate the data.

Thanks

Thanks Ashish,

How exactly would you transfer the Period 1 January from one ledger to period 1 April to another ledger

Currently this is not possible in Fusion. You have to use Hyperion for consolidation if you have different calendars.
You can perform reporting only consolidation using Ledger sets.
Please Refer these articles for details -

http://apps2fusion.com/oracle-fusion-online-training/fusion-applications/oracle-fusion-financials/fusion-financials-training/664-fusion-consolidation-fusion-general-ledger-conolidation

http://apps2fusion.com/oracle-fusion-online-training/fusion-applications/oracle-fusion-financials/fusion-financials-training/669-consolidation-oracle-fusion-elimination-entries