Only makes sense when fill_value is NaN

def stack_sparse_frame(frame):
    """
    Only makes sense when fill_value is NaN
    """
    lengths = [s.sp_index.npoints for _, s in frame.items()]
    nobs = sum(lengths)

    # this is pretty fast
    minor_codes = np.repeat(np.arange(len(frame.columns)), lengths)

    inds_to_concat = []
    vals_to_concat = []
    # TODO: Figure out whether this can be reached.
    # I think this currently can't be reached because you can't build a
    # SparseDataFrame with a non-np.NaN fill value (fails earlier).
    for _, series in frame.items():
        if not np.isnan(series.fill_value):
            raise TypeError('This routine assumes NaN fill value')

        int_index = series.sp_index.to_int_index()
        inds_to_concat.append(int_index.indices)
        vals_to_concat.append(series.sp_values)

    major_codes = np.concatenate(inds_to_concat)
    stacked_values = np.concatenate(vals_to_concat)
    index = MultiIndex(levels=[frame.index, frame.columns],
                       codes=[major_codes, minor_codes],
                       verify_integrity=False)

    lp = DataFrame(stacked_values.reshape((nobs, 1)), index=index,
                   columns=['foo'])
    return lp.sort_index(level=0)