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exception handling - C#/Java "Try/Finally/Catch" equivalent construct in Delphi

In Delphi, how can you use try, finally, and catch together? A Java/C# equivalent would look something like:

try {
    // Open DB connection, start transaction
} catch (Exception e) {
    // Roll back DB transaction
} finally {
    // Close DB connection, commit transaction
}

If you try this in Delphi, you can either use try/finally or try/except; but never all three together. I would like code like the following (which doesn't compile):

try
    // Open DB connection, start transaction
except on e: Exception do
begin
    // Roll back transaction
end
finally // Compiler error: expected "END" not "finally"
begin
    // Commit transaction
end
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In Delphi you can use the following pattern:

// initialize / allocate resource (create objects etc.)
...
try
  try
    // use resource
    ...
  except
    // handle exception
    ...
  end;
finally
  // free resource / cleanup
  ...
end

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