What is the name of the first rocket?

Rockets have technically been around since the Chinese invented gunpowder (from saltpeter, sulfur, and charcoal dust) but I don't think they bothered to name them. The Chinese used these rockets both for warfare and celebrations (i.e. fireworks shows).

The first rocket with the capability of reaching what we call space (60 ~ 70 miles up) was named Vergeltungswaffe 2.