I know that the += operator will add a method to the invocation list maintained by the Delegate base object, for example
using System;
class Program
{
delegate void MyDelegate(int n);
void Foo(int n)
{
Console.WriteLine("n = {0}", n)
}
static void Main(string[] args)
{
MyDelegate d = new MyDelegate(Foo);
d += Foo; // add Foo again
d.Invoke(3); // Foo is invoked twice as Foo appears two times in invocation list
}
}
But when I look at MSDN Delegate, MulticastDelegate I can't find any definition of the += operator. How is it that is just works? Auto-generated compiler magic?

It's not an operator on the delegate type itself, in IL terms - it's defined in the language specification, but you wouldn't find it using reflection. The compiler turns it into a call to Delegate.Combine. The reverse operation, using - or -=, uses Delegate.Remove.
At least, that's how it's implemented when C# targets .NET, as it almost always does. In theory, this is environment-specific - the language specification doesn't require that a compiler uses Delegate.Combine or Delegate.Remove, and a different environment may not have those methods.
From the C# 5 specification, section 7.8.4 (addition):
The binary
+operator performs delegate combination when both operands are of some delegate typeD. (If the operands have different delegate types, a binding-time error occurs.) If the first operand isnull, the result of the operation is the value of the second operand (even if that is alsonull). Otherwise, if the second operand isnull, then the result of the operation is the value of the first operand. Otherwise, the result of the operation is a new delegate instance that, when invoked, invokes the first operand and then invokes the second operand. For examples of delegate combination, see §7.8.5 and §15.4. SinceSystem.Delegateis not a delegate type, operator+is not defined for it.
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