Hi Erdem,
Looks like it isn't enough just set it to Persian in Win settings.
See the below screenshot. In the "Short date" field you need to select the correct format (YYYY/MM/DD).
In my system this format doesn't appear in the "Short date" dropdown when I select the region as "Persian". However, when I changed the region to "South Africa", YYYY/MM/DD was available.
You might need to play around in this Region settings option to see where YYYY/MM/DD is available.
You can check if the system date format is indeed YYYY/MM/DD by opening up Excel (BEx isn't necessary here) and typing "=DATE(2015,12,31)" in a blank cell. The output of that will show you what 31 Dec 2015 will look like in your sys date format. From that you can deduce the format the sys is currently using.
Ultimately this is a windows issue, not an SAP one.