Change names of MultiIndex Index of a Dataframe

[cancan101]

How do I change the names of the various levels on a MultiIndex? How do I do so NOT in place (i.e returning a new Dataframe)?

For example I have:

                   d1  d2  d3  d4
u1          u2 u3                
Good Things C       1   1   1   1
            R       1   1   1   1
Bad Things  C       1   1   1   1
            T       1   1   1   1
Okay Things N  B    1   1   1   1
               D    1   1   1   1
            B       1   1   1   1
            D       1   1   1   1

and I want to change the u1, u2, u3.

Currently I can change the names in place using:

df.index.names = ['a1', 'a2', 'a3']

[jtratner]

Copy the dataframe, then set names.

[jtratner]

If you want to get a new dataframe, it has to copy all the underlying data anyways...

[cancan101]

Yea, I was just wondering if there was something like swaplevel or reorder_levels that did the copy, etc for me.

[jreback]

dupe of #4160