We have calculated the photonic band structure of a 2D photonic crystal whose empty cylinders are infiltrated by a liquid crystal; a D.C. electric field is applied in the direction parallel to the cylinders. The local dielectric constant within the cylinders is obtained by minimizing the free energy, which has elastic and electrostatic contributions. We have assumed strong anchoring of the molecules of the nematic liquid crystal at the cylinder boundaries and have averaged over the cross-sectional area of the cylinder. The resulting dielectric tensor is diagonal and depends on the applied field. Moreover, it has the same symmetry as a uniaxial material, so that the optical response of the H-modes and E-modes is given by different dielectric constants ("ordinary" and "extraordinary"). The photonic band structures exhibit a notable dependence on the applied field with shifts up to 6% of the bands. For the E-modes, with a careful choice of the filling fraction it is possible to design a complete photonic gap for a certain range of electric fields, and close the gap for other values of the field. Such behaviour could be applied to optical tuning, switching, and polarizing of light.