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BUG: groupby + apply + merge drops index name in edge cases #16249

@AdrianTeng

Description

@AdrianTeng

Code Sample, a copy-pastable example if possible

field = 'dt_' # Requires a '_' for bug to occur

import pandas as pd
from pandas import Timestamp
from datetime import datetime as dt
df = pd.DataFrame({u'ccy': {0: 'EUR', 1: 'USD', 2: 'USD'}, u'spam': {0: 10000000, 1: 10000000, 2: 123}, field: {0: Timestamp('2016-02-01 00:00:00'), 1: Timestamp('2016-02-01 00:00:00'), 2: Timestamp('2016-02-02 00:00:00')}}).set_index(field)

fx = pd.DataFrame([[dt(2016,2,1), 1.25], [dt(2016,2,2), 1.26]], columns=['dt', 'fx']).set_index('dt')

def foo(k): 
    return k.merge(fx, left_index=True, right_index=True) 

# Always ok
df.groupby('ccy').apply(foo)

# Not okay if `'_' in field`
df[:1].groupby('ccy').apply(foo)
df[:2].groupby('ccy').apply(foo)

Problem description

Doing df.groupby('ccy').apply(foo) should maintain its index name. Indeed, if df's index contains more than 1 unique entry (i.e. len(set(df.index)) > 1, this always works.

In [22]: df.groupby('ccy').apply(foo)
Out[22]:
                ccy      spam    fx
ccy dt_
EUR 2016-02-01  EUR  10000000  1.25
USD 2016-02-01  USD  10000000  1.25
    2016-02-02  USD       123  1.26

However, if df's index contains only a unique entry, and if the index name contains a _ character, the output's index name is dropped.

In [26]: df[:2].groupby('ccy').apply(foo)
Out[26]:
                ccy      spam    fx
ccy
EUR 2016-02-01  EUR  10000000  1.25
USD 2016-02-01  USD  10000000  1.25

(re-run the code sample, with first line replaced with field = 'dt', and the bug will never occur.)

Output of pd.show_versions()

commit: None python: 2.7.5.final.0 python-bits: 64 OS: Linux OS-release: 3.10.0-514.10.2.el7.x86_64 machine: x86_64 processor: x86_64 byteorder: little LC_ALL: None LANG: en_GB.UTF-8 LOCALE: None.None

pandas: 0.19.2
nose: None
pip: 9.0.1
setuptools: 35.0.2
Cython: None
numpy: 1.12.1
scipy: None
statsmodels: None
xarray: None
IPython: 5.3.0
sphinx: None
patsy: None
dateutil: 2.6.0
pytz: 2017.2
blosc: None
bottleneck: None
tables: None
numexpr: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: None
boto: None
pandas_datareader: None

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