I'd be really upset to be honest. But having said that, I would support them in their decision - I would let them live at home for awhile but would expect that they start studying or working maybe after the baby is one or two. They would need to start doing things to be able to provide a good life for their child.
I only have boys - so if one of my boys got a girl pregnant I would be again - really upset. But I would insist they step up and support the girl in whatever they decide.