I have a class library in C# has has several classes and a app.config. I have put ConnectionString in app.config as follows:
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If you are running Web project with Class library,
add connection string to web.config
inside the Web project
If you are running Console/WinForm project with Class library,
add connection string to app.config
inside the Console/WinForm project
modifying config in Library project will not work in your case.