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In [3]: date1 = datetime.date.today() In [4]: date2 = datetime.date.today().replace(month=1) In [5]: date_cols=['date1', 'date2'] In [6]: index = pd.MultiIndex.from_product([[date1],[date2]]) The first level of this multi-index is a Index of object dtyped datetimes, rather than a DatetimeIndex.
might be a bug in the creation process