Rename Pandas DataFrame Index

The rename method takes a dictionary for the index which applies to index values.
You want to rename to index level’s name:

df.index.names = ['Date']

A good way to think about this is that columns and index are the same type of object (Index or MultiIndex), and you can interchange the two via transpose.

This is a little bit confusing since the index names have a similar meaning to columns, so here are some more examples:

In [1]: df = pd.DataFrame([[1, 2, 3], [4, 5 ,6]], columns=list('ABC'))

In [2]: df
Out[2]: 
   A  B  C
0  1  2  3
1  4  5  6

In [3]: df1 = df.set_index('A')

In [4]: df1
Out[4]: 
   B  C
A      
1  2  3
4  5  6

You can see the rename on the index, which can change the value 1:

In [5]: df1.rename(index={1: 'a'})
Out[5]: 
   B  C
A      
a  2  3
4  5  6

In [6]: df1.rename(columns={'B': 'BB'})
Out[6]: 
   BB  C
A       
1   2  3
4   5  6

Whilst renaming the level names:

In [7]: df1.index.names = ['index']
        df1.columns.names = ['column']

Note: this attribute is just a list, and you could do the renaming as a list comprehension/map.

In [8]: df1
Out[8]: 
column  B  C
index       
1       2  3
4       5  6