You can use get_dummies:
In [11]: dummies = pd.get_dummies(df['Y'])
In [12]: dummies
Out[12]:
g r y z
0 0 0 0 1
1 1 0 0 0
2 0 0 1 0
3 0 1 0 0
and then multiply by the val column:
In [13]: res = dummies.mul(df['val'], axis=0)
In [14]: res
Out[14]:
g r y z
0 0 0 0 5
1 3 0 0 0
2 0 0 6 0
3 0 9 0 0
To fix the index, you could just add the X as this index, you could first apply set_index:
In [21]: df1 = df.set_index('X', append=True)
In [22]: df1
Out[22]:
Y val
X
0 a z 5
1 b g 3
2 b y 6
3 e r 9
In [23]: dummies = pd.get_dummies(df['Y'])
In [24]: dummies.mul(df['val'], axis=0)
Out[24]:
g r y z
X
0 a 0 0 0 5
1 b 3 0 0 0
2 b 0 0 6 0
3 e 0 9 0 0
If you wanted to do this pivot (you can also use pivot_table):
In [31]: df.pivot('X', 'Y').fillna(0)
Out[31]:
val
Y g r y z
X
a 0 0 0 5
b 3 0 6 0
e 0 9 0 0
Perhaps you want to reset_index, to make X a column (I'm not sure whether than makes sense):
In [32]: df.pivot('X', 'Y').fillna(0).reset_index()
Out[32]:
X val
Y g r y z
0 a 0 0 0 5
1 b 3 0 6 0
2 e 0 9 0 0
For completeness, the pivot_table:
In [33]: df.pivot_table('val', 'X', 'Y', fill_value=0)
Out[33]:
Y g r y z
X
a 0 0 0 5
b 3 0 6 0
e 0 9 0 0
In [34]: df.pivot_table('val', 'X', 'Y', fill_value=0).reset_index()
Out[34]:
Y X g r y z
0 a 0 0 0 5
1 b 3 0 6 0
2 e 0 9 0 0
Note: the column name are named Y, after reseting the index, not sure if this makes sense (and easy to rectify via res.columns.name = None).
b 0 0 0 0; is that important?