Ceci illustre ce que je voulais dire
In [20]: df = DataFrame(randn(10,2),columns=list('AB'),index=date_range('20130101',periods=3)+date_range('20130110',periods=3)+date_range('20130120',periods=4))
In [21]: df
Out[21]:
A B
2013-01-01 -0.176354 1.033962
2013-01-02 0.666911 -0.018723
2013-01-03 0.300097 1.552866
2013-01-10 0.581816 -1.188106
2013-01-11 -0.394817 -1.018765
2013-01-12 1.000461 -1.211131
2013-01-20 0.097940 1.225805
2013-01-21 -2.205975 -0.455641
2013-01-22 0.508865 -0.403321
2013-01-23 -0.726969 0.448002
In [22]: df.reindex(index=date_range('20130101','20130125')).fillna(limit=2,method='pad')
Out[22]:
A B
2013-01-01 -0.176354 1.033962
2013-01-02 0.666911 -0.018723
2013-01-03 0.300097 1.552866
2013-01-04 0.300097 1.552866
2013-01-05 0.300097 1.552866
2013-01-06 NaN NaN
2013-01-07 NaN NaN
2013-01-08 NaN NaN
2013-01-09 NaN NaN
2013-01-10 0.581816 -1.188106
2013-01-11 -0.394817 -1.018765
2013-01-12 1.000461 -1.211131
2013-01-13 1.000461 -1.211131
2013-01-14 1.000461 -1.211131
2013-01-15 NaN NaN
2013-01-16 NaN NaN
2013-01-17 NaN NaN
2013-01-18 NaN NaN
2013-01-19 NaN NaN
2013-01-20 0.097940 1.225805
2013-01-21 -2.205975 -0.455641
2013-01-22 0.508865 -0.403321
2013-01-23 -0.726969 0.448002
2013-01-24 -0.726969 0.448002
2013-01-25 -0.726969 0.448002