MultiIndex - ValueError: On level 2, label max (1) >= length of level  (1). NOTE: this index is in an inconsistent state
**Create MultiIndex DataFrame**

```
import pandas as pd

df = pd.DataFrame(
[
    [5777, 100, 5385, 200, 5419, 4887, 100, 200],
    [4849, 0, 4539, 0, 3381, 0, 0, ],
    [4971, 0, 3824, 0, 4645, 3424, 0, 0, ],
    [4827, 200, 3459, 300, 4552, 3153, 100, 200, ],
    [5207, 0, 3670, 0, 4876, 3358, 0, 0, ],
],
index=pd.to_datetime(['2010-01-01',
                      '2010-01-02',
                      '2010-01-03',
                      '2010-01-04',
                      '2010-01-05']),
columns=pd.MultiIndex.from_tuples(
    [('Portfolio A', 'GBP', 'amount'), ('Portfolio A', 'GBP', 'injection'),
     ('Portfolio B', 'EUR', 'amount'), ('Portfolio B', 'EUR', 'injection'),
     ('Portfolio A', 'USD', 'amount'), ('Portfolio A', 'USD', 'injection'),
     ('Portfolio B', 'JPY', 'amount'), ('Portfolio B', 'JPY', 'injection')])
).sortlevel(axis=1)
```

**Add a column at Level 2**

```
amount = df.loc[:, pd.IndexSlice[:, :, 'amount']]
inject = df.loc[:, pd.IndexSlice[:, :, 'injection']]
dav = amount - amount.shift() - inject.shift().values
dav.columns.set_levels(['daily_added_value'], level=2, inplace=True)
df = pd.concat([df, dav], axis=1).sortlevel(axis=1)
print(df.T) #transposed to fit only
```

I can repeat the _add a column at Level 2 code_ above multiple times, however if I try the following I get an error (possibly related to NAN's):

```
dav1 = df.loc[:, pd.IndexSlice[:, :, 'daily_added_value']]
amount = df.loc[:, pd.IndexSlice[:, :, 'amount']]
dr = dav1 * amount
dr.columns.set_levels(['daily_return'], level=2, inplace=True)
df = pd.concat([df, dr], axis=1).sortlevel(axis=1)
```
#### Expected Output - ( daily_returns is added to level 2 ( daily_added_value \* amount )

Note I have put zeros as expected values but the desired output is daily_added_value \* amount)  I am also adding other measures at level 2 with division and shift() in the formulae.  These fail with same error.

```
                               2010-01-01  2010-01-02  2010-01-03  \
Portfolio A GBP amount                 5777.0      4849.0      4971.0   
                daily_added_value         NaN     -1028.0       122.0   
                injection               100.0         0.0         0.0   
            USD amount                 5419.0      3381.0      4645.0   
                daily_added_value         NaN     -6925.0      1264.0
                 daily_returns             0     0      0  
                injection              4887.0         0.0      3424.0   
Portfolio B EUR amount                 5385.0      4539.0      3824.0   
                daily_added_value         NaN     -1046.0      -715.0   
                injection               200.0         0.0         0.0   
            JPY amount                  100.0         0.0         0.0   
                daily_added_value         NaN      -300.0         NaN   
                daily_returns             0     0      0  
                injection               200.0         NaN         0.0   

                                   2010-01-04  2010-01-05  
Portfolio A GBP amount                 4827.0      5207.0  
                daily_added_value      -144.0       180.0  
                injection               200.0         0.0  
            USD amount                 4552.0      4876.0  
                daily_added_value     -3517.0     -2829.0  
                daily_returns             0     0      0  
                injection              3153.0      3358.0  
Portfolio B EUR amount                 3459.0      3670.0  
                daily_added_value      -365.0       -89.0  
                injection               300.0         0.0  
            JPY amount                  100.0         0.0  
                daily_added_value       100.0      -300.0  
                daily_returns             0     0      0  
                injection               200.0         0.0
```

**Error**

```
---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-56-7a5afb5f45f1> in <module>()
      2 amount = df.loc[:, pd.IndexSlice[:, :, 'amount']]
      3 dr = dav1 * amount
----> 4 dr.columns.set_levels(['daily_return'], level=2, inplace=True)
      5 df = pd.concat([df, dr], axis=1).sortlevel(axis=1)

C:\Users\xxxxxxxx\AppData\Local\Continuum\Anaconda3\lib\site-packages\pandas\indexes\multi.py in set_levels(self, levels, level, inplace, verify_integrity)
    227         idx._reset_identity()
    228         idx._set_levels(levels, level=level, validate=True,
--> 229                         verify_integrity=verify_integrity)
    230         if not inplace:
    231             return idx

C:\Users\xxxxxxxx\AppData\Local\Continuum\Anaconda3\lib\site-packages\pandas\indexes\multi.py in _set_levels(self, levels, level, copy, validate, verify_integrity)
    164 
    165         if verify_integrity:
--> 166             self._verify_integrity()
    167 
    168     def set_levels(self, levels, level=None, inplace=False,

C:\Users\xxxxxxxx\AppData\Local\Continuum\Anaconda3\lib\site-packages\pandas\indexes\multi.py in _verify_integrity(self)
    127                                  " level  (%d). NOTE: this index is in an"
    128                                  " inconsistent state" % (i, label.max(),
--> 129                                                           len(level)))
    130 
    131     def _get_levels(self):

ValueError: On level 2, label max (1) >= length of level  (1). NOTE: this index is in an inconsistent state
```

**How do you make the index consistent?**
#### output of `pd.show_versions()`

```
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 62 Stepping 4, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 23.0.0
Cython: 0.24
numpy: 1.11.1
scipy: 0.17.1
statsmodels: 0.6.1
xarray: None
IPython: 4.2.0
sphinx: 1.3.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.0
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.2
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.40.0
pandas_datareader: 0.2.1
```

This post is also raised as a [question](http://stackoverflow.com/questions/38491990/adding-a-column-derived-from-apply-to-multiindex-dataframe-using-tshift) and also related to this [question](http://stackoverflow.com/questions/38352742/pandas-design-considerations-for-multiindexed-dataframes)
