Update #2 from our nursery, although it's not quite complete...
I took inspiration from "Little Green Notebook" (click here and here) and made two Pelmet Boxes for baby's windows. I ordered the same fabric from our crib sheet and used duct tape, hot glue and foam core board (literally, that's it). I think they're a cute and inexpensive alternative to a valence.
Thanks to Grandpa-to-be (my Dad) for helping me measure, cut and tape.