[R] Imputing missing values in time series

[Horace Tso]

Folks,

This must be a rather common problem with real life time series data
but I don't see anything in the archive about how to deal with it. I
have a time series of natural gas prices by flow date. Since gas is not
traded on weekends and holidays, I have a lot of missing values,

FDate	Price
11/1/2006	6.28
11/2/2006	6.58
11/3/2006	6.586
11/4/2006	6.716
11/5/2006	NA
11/6/2006	NA
11/7/2006	6.262
11/8/2006	6.27
11/9/2006	6.696
11/10/2006	6.729
11/11/2006	6.487
11/12/2006	NA
11/13/2006	NA
11/14/2006	6.725
11/15/2006	6.844
11/16/2006	6.907
 
What I would like to do is to fill the NAs with the price from the
previous date * gas used during holidays is purchased from the week
before. Though real simple, I wonder if there is a function to perform
this task. Some of the imputation functions I'm aware of (eg. impute,
transcan in Hmisc) seem to deal with completely different problems. 

2.5.0/Windows XP

Thanks in advance.

HT