How to - Change the setting for your Bluetooth Module

Hey guys, few months ago I bought a bluetooth module to play around with bluetooth. It is 

(JY-MCU Bluetooth Wireless Serial Port Module for Arduino)

 Just yesterday, I get to know that I can actually change the device name, baud rate, and also pair code for this device. 

It's pretty simple to do this ! Believe it or not, it is simple !