Xcode 7.1 with iOS 9.2 Error (Could not find Developer Disk image) [duplicate]
Found out the answer. Went to Xcode website. They clearly say that Xcode 7.1 does not include iOS 9.2 beta sdk.
Upgraded my Xcode to 7.2 beta by downloading it from the Xcode website
It works now, and I'm able to run the app on my phone :-)
Thanks to Muhammad for the suggestion!
It is worth pointing out that Xcode 7.2 is available in the Mac App Store now. You don't need to go to the Apple Developer site and get a Beta.
Having said that, the basic facts haven't changed. If you want to use Xcode and iOS 9.2, make sure to use Xcode to 7.2 or greater.