import pandas as pd
 
df = pd.DataFrame({"month": [1, 4, 7, 10],
                   "year": [2012, 2014, 2013, 2014],
                   "sale": [55, 40, 84, 31]})
new_df = df.set_index(["year", "month"])
print(new_df.index.names)
print(new_df.index.levels)
 

['year', 'month']
[[2012, 2013, 2014], [1, 4, 7, 10]]