Hi Cédric!

         while True:
             yield date
-            date += oneday
+            try:
+                date += oneday
+            except OverflowError:
+                break

You might add a comment explaining why we may get an OverflowError here.

I don't know the cost of adding a try/except in a loop. But the loop has 31 iterations or less, so it's maybe better to keep the explicit try/except around date += oneday.

+    def test_itermonthdates(self):
+        # ensure itermonthdates works for all months
+        list(calendar.Calendar().itermonthdates(9999, 12))

Please use datetime.MAXYEAR instead of this hardcoded constant.