How do closures work behind the scenes? (C#)

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Your third guess is correct. The compiler will generate code like this:

private class Locals
{
  public int count;
  public void Anonymous()
  {
    this.count++;
  }
}

public Action Counter()
{
  Locals locals = new Locals();
  locals.count = 0;
  Action counter = new Action(locals.Anonymous);
  return counter;
}

Make sense?

Also, you asked for comparisons. VB and JScript both create closures in pretty much the same way.

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