Do you need to have the window covered? If so, I would suggest a Cafe curtain if window is larger enough. This will keep the pretty arch visible.

You could have a very pretty arched valance made following the shape of the arch of your window or if you have room above the window you could do an exaggerated arched valance as in the following picture.

This looks very nice! But we are looking for something that provides some privacy as well!

An arched roman shade.

An arched Roman shade would look well there since it is a smaller window. Anything else will hide dwarf the window and probably block a lot of the natural light. I would check Hunter Douglas to get one made to your window specifications.