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In [1]: index = pd.DatetimeIndex(start='20150101', end='20150331', freq='B') In [2]: df = pd.DataFrame(index=index, data=len(index)*[0]) In [3]: df.resample('BM', how='last') Out[3]: 0 2015-01-30 0 2015-02-27 0 2015-03-31 0 2015-04-30 NaN
This is both in 0.14.1 and 0.15.2