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Backport PR #37661 on branch 1.1.x: BUG: RollingGroupby when groupby key is in the index #37741

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Backport PR #37661

@simonjayhawkins simonjayhawkins added Groupby Window rolling, ewma, expanding labels Nov 10, 2020
@simonjayhawkins simonjayhawkins added this to the 1.1.5 milestone Nov 10, 2020
@simonjayhawkins simonjayhawkins merged commit 3b86ff4 into pandas-dev:1.1.x Nov 10, 2020
@simonjayhawkins simonjayhawkins deleted the backport-of-pr-37661-on-1.1.x branch November 10, 2020 14:52
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