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SFTP: Setup and configure SFTP server
TElSimpleSFTPServer class is a descendant of TElSimpleSSHServer. So first you need to setup the instance of TElSimpleSFTPServer as described in SSH server setup how-to article.
Next you set TElSimpleSFTPServer.AllowSftp property to true.
To let the SFTP server actually access the filesystem you need to set TElSimpleSFTPServer.SFTPBaseDir property and optionally setup the file system adapter.