Writeup on how to create and test DLLs.
C++ source code setting-up and solving a mean-variance QP in memory using Gurobi and module definition file.
If you build a DLL using these two files as per the instructions (and name that project "myqp") you will be exporting the "engine" function in the cpp file (to build this DLL you will have to link it with the gurobi library file). Here is a C++ program that you can use to test the DLL. You would need to link it with "myqp.lib".
This is a simple example of code used in the process of building and testing a DLL.