Using datetime in order to name files
I think you only want to calculate the last working day from today. Here is a better/pythonic approach:

from datetime import timedelta, date

def lastBzDay( d = None ):
  r, d = xrange( 1, 5 ), d or date.today()
  def retfn( curDay = d ):
    w = curDay.weekday()
    prevBzDay = curDay - timedelta( days= 1 if w in r else (w + 3) % 7 )
    return prevBzDay.strftime('%d%m%y')
  return retfn
lastBzDay = lastBzDay()


Now, all you have to do is:

yesterday = lastBzDay()


and you'll get the desired result. Using a closure also gives you the ability to find the last weekday from any other dates:

print lastBzDay( date(2014, 9, 7) )  # will give you 050914


You can see a demo on codepad here.