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Dear Jansy,
The figure flying through Pale Fire with an umbrella is, as you rightly
guessed, not Kinbote, but Gradus. Brian Boyd footnoted this as being a
reference to Charles Chaplin, who though he was often associated with a
twirling stick or umbrella, wasn't partial to flight. I thought the
reference might be to Mary Poppins, who was known to perform aerial drops
while standing ramrod straight carrying umbrella and capacious handbag. But
who knows?
As to Golconda - - it is a reference to diamonds (in cufflinks) and diamond
shapes (in Magritte).
Carolyn