switch to error instead of warning

pandas/_libs/tslibs/offsets.pyx

@@ -4424,7 +4424,7 @@ cdef class CustomBusinessDay(BusinessDay):
     ):
         BusinessDay.__init__(self, n, normalize, offset)
         if (calendar is not None) and not isinstance(calendar, np.busdaycalendar):
-            warnings.warn("Warning: `calendar` is expected to be either an instance of `np.busdaycalendar` or `None`.")
+            raise TypeError("`calendar` is expected to be either an instance of `np.busdaycalendar` or `None`.")
         self._init_custom(weekmask, holidays, calendar)
 
     cpdef __setstate__(self, state):