FIX: timeseries asfreq would drop the name of the index, closes #9854

doc/source/whatsnew/v0.16.1.txt

@@ -132,3 +132,5 @@ Bug Fixes
 - Bug in unequal comparisons between a ``Series`` of dtype `"category"` and a scalar (e.g. ``Series(Categorical(list("abc"), categories=list("cba"), ordered=True)) > "b"``, which wouldn't use the order of the categories but use the lexicographical order. (:issue:`9848`)
 
 - Bug in unequal comparisons between categorical data and a scalar, which was not in the categories (e.g. ``Series(Categorical(list("abc"), ordered=True)) > "d"``. This returned ``False`` for all elements, but now raises a ``TypeError``. Equality comparisons also now return ``False`` for ``==`` and ``True`` for ``!=``. (:issue:`9848`)
+
+- Bug where using DataFrames asfreq would remove the name of the index. (:issue:`9885`)

pandas/tseries/resample.py

@@ -480,6 +480,7 @@ def asfreq(obj, freq, method=None, how=None, normalize=False):
         if len(obj.index) == 0:
             return obj.copy()
         dti = date_range(obj.index[0], obj.index[-1], freq=freq)
+        dti.name = obj.index.name
         rs = obj.reindex(dti, method=method)
         if normalize:
             rs.index = rs.index.normalize()

pandas/tseries/tests/test_timeseries.py

@@ -1131,6 +1131,15 @@ def test_reindex_with_datetimes(self):
         result = ts[list(ts.index[5:10])]
         tm.assert_series_equal(result, expected)
 
+    def test_asfreq_keep_index_name(self):
+        # GH #9854
+        index_name = 'bar'
+        index = pd.date_range('20130101',periods=20,name=index_name)
+        df = pd.DataFrame([x for x in range(20)],columns=['foo'],index=index)
+
+        tm.assert_equal(index_name, df.index.name)
+        tm.assert_equal(index_name, df.asfreq('10D').index.name)
+
     def test_promote_datetime_date(self):
         rng = date_range('1/1/2000', periods=20)
         ts = Series(np.random.randn(20), index=rng)