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Creating a grid with nested headings / columns

I'm writing a new screen for an Application which allows the user to select meals are to be allowed for each day within a range.  As such I want to be able to have a single column in my UltraGrid labelled for example 'Sunday', but then 3 check boxes within that column.  I don't seem to be able to find a way to do this - is it possible or is there a different control I could use to do something similar?