How to programmatically configure proxy in Azure SDK for C++

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How to programmatically configure Azure SDK for C++ (https://azure.github.io/azure-sdk-for-cpp/index.html) to use a specific proxy?

When using older package Microsoft.Azure.Storage.CPP.v140 I could use the following code to accomplish it:

azure::storage::operation_context::set_default_proxy(web::web_proxy(proxyAddress));

However, I cannot find a corresponding way of doing it in the new package. Is this even possible in the new package?

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