How do you dynamically assign a datagrid's headers in c#?

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How do you dynamically assign a datagrid's headers in c#?

Consider the following XAML:

                <data:DataGrid  x:Name="dataGrid" AutoGenerateColumns="False"  Margin="1,1,1,1" >
                    <data:DataGrid.Columns>
                        <data:DataGridTextColumn
                            Header="Substantive"
                            Binding="{Binding Path=Substantive}"
                            IsReadOnly="True"
                            />

                        <data:DataGridTextColumn
                            Header=""
                            Binding="{Binding Path=Month[0]}"
                            IsReadOnly="True"
                            />

                        <data:DataGridTextColumn
                            Header=""
                            Binding="{Binding Path=Month[1]}"
                            IsReadOnly="True"
                            />

                    </data:DataGrid.Columns>

                </data:DataGrid>

In the C# code, how would I define the headers that are blank?