Hello,
If you need to measure S11 and S21, you need to calibrate the VNA before it can make the corrections for cable length and cable loss. Mostly this goes with a Short, Open, Load termination and a Thru. The short, open and load you need to calibrate a single port (for example for measuring S11, VSWR or Return Loss only).
For measuring S21, S12 or Insertion gain/loss, you need the "thru" connector also. It is mostly called a "SOLT" calibration procedure. Where SOLT stands for Short, Open, Load and Thru.
There are other calibration procedures like "TRL" (Thru, Reflect (mostly short) and Load). You should consult your VNA's manual about the calibration procedures.