Sweave not generating figures

Question

I am trying to include figures in my Sweave report. I have a file a.Rnw:

\documentclass[10pt,a4paper]{article}
\usepackage[latin1]{inputenc}
\usepackage{amsmath}
\usepackage{amsfonts}
\usepackage{amssymb}

\begin{document}

<<echo=FALSE, fig=TRUE>>=
plot(c(1,3,5,2,4,2,4,2,42,3,2,3))
@

\end{document}

I generate the tex as:

$ R CMD Sweave a.Rnw 
Output file:  a.tex

However, no figure is generated.

$ pdflatex a.tex 
This is pdfTeX, Version 3.1415926-2.5-1.40.14 (TeX Live 2013)
 restricted \write18 enabled.
...
! LaTeX Error: File `a-001' not found.

See the LaTeX manual or LaTeX Companion for explanation.
Type  H <return>  for immediate help.
 ...                                              

l.11 \includegraphics{a-001}

? 

There is no such file

$ ls a-001*
ls: a-001*: No such file or directory

The generated tex is

\documentclass[10pt,a4paper]{article}
\usepackage[latin1]{inputenc}
\usepackage{amsmath}
\usepackage{amsfonts}
\usepackage{amssymb}


\usepackage{Sweave}
\begin{document}

\includegraphics{a-001}

\end{document}

So how do I generate the figure?