I have a dataframe that looks like this:

How can I change the Unnamed: 0 and the blank header of columns so it would look like this:

Try this:
df.reset_index(inplace=True)
df.rename(columns={df.columns[0]: 'BBID VALUE_DATE'}, inplace=True)
df.set_index('BBID VALUE_DATE' , inplace = True)