API: Deep copy not copying index/columns
http://stackoverflow.com/questions/17591104/in-pandas-can-i-deeply-copy-a-dataframe-including-its-index-and-column/17591423#17591423

This means if we change the index in place, e.g. with name:

```
df1 = df.copy()
df1.index.name = 'ffg'
```

This changes the name of the df.index.
