(CNN) The widow of a Baton Rouge, Louisiana, police officer who was shot and killed in the line of duty less than two months ago is pregnant.

Dechia Gerald realized she was expecting two weeks after the July 17 death of her husband, Matthew Gerald, she told CNN affiliate WAFB-TV.

"There's no better gift that a husband could leave behind than a baby, a gift from God," she said in an interview with the station.

Matthew Gerald, 41, was one of three Louisiana law enforcement officers shot dead by ex-Marine Gavin Long at a time when police across the country were on high alert after the killings of five officers in Dallas on July 7

Baton Rouge, in particular was on edge. The ambush involving Gerald came nearly two weeks after a police officer shot and killed Alton Sterling , a black resident, outside a Baton Rouge convenience store.

Sterling's death, as well as a July 6 shooting of a man by police in Minnesota , kicked off days of national turmoil and spurred protests across the country.

Daughters instinctively knew

During those first two weeks of July, officers in Baton Rouge worked 12-hour shifts without a day off. Still, Dechia Gerald is convinced she conceived on the night of July 12 -- five days before her husband's death.

A home pregnancy test turned up positive after the shooting.

"I wanted to cry but at the same time, it's kind of exciting," she told WAFB , explaining her flood of thoughts about all the firsts her husband would miss.

She immediately shared the news with her family and her husband's squad.

But she didn't need to tell her daughters. They somehow already knew, she said.

Dawclyn, 9, told her mother the day of the funeral she was pregnant. A few days later, Fynleigh, 3, said the same thing.

"She told me that Jesus told her that there was a baby boy in my tummy," Dechia Gerald told the TV station.

'He was with us'

On the way for her first ultrasound, she heard the couple's wedding song played on the radio for the first time in a while.

She saw what looked like a wedding band in an ultrasound image of the baby.

"I felt like when I saw that he was with us," she told WAFB.

She hopes the child will have blue eyes, just like her late husband. They're why she fell in love with him seven years ago.

"I just wanted to let the world know about our gift that Matt left behind when he left us," she said.

The baby is due April 7.