Help me explain to my Grandmother!!!

Okay I married young at 19, we made it almost to 2 year anniversary. I asked for a divorce because things were hard. Well my family was happy to see me happy again. Well since April 5th I've been with this guy I've known since I was 11 or so. His sister is a good friend of mine. We got into a huge fight, and it was horrible (my fault though). Well I realized I was late and took a test. Immediately it showed positive. I freaked out cause my soon to be ex-husband hadn't moved out yet(he's out now though). Well baby daddy didn't believe me and thought I was just saying it to keep him, which in all honesty I can handle being a single mom. Well I told my mom that day, she told my dad. They love me no matter what and are here for me. My aunt and cousins know. But my grandma and grandpa are my rock, their opinion means so much to me. I just don't want to break their heart because I did cheat on my husband even though we were separated just not by paperwork. What should I do? (Please no harsh comments. My husband was horrible to me and I did think the only way out was to kill myself till I reconnected with the baby daddy.)