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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