[Xy-pic] Math fonts

[Yannick Delbecque]

Hi,
I have many times ran into trouble when using some math fonts in 
\xymatrix.

For example when running LaTeX on the command
\[ \xymatrix{ \mathbb{R} \ar[r]^{d} & \mathbb{R} } \]

I get the following error (twice):

! You can't use `\spacefactor' in math mode.
\@ ->\spacefactor
                   \@m
l.19 \xy@{\save }{\save@ }
                           %

Stangely, if I try instead
\[ \xymatrix{ \ensuremath{\mathbb{R}} \ar[r]^{d} & 
\ensuremath{\mathbb{R}}} \]
then everything works fine.

I did try to find an explanation of this in both the user guide and the 
reference manual without success. I fear I missed something obvious. 
Does someone have an explanation?

Yannick