It looks like the unanimous recommendation is to end it. My logical mind agrees with this, but obviously as this is a big shock, the idea is inconceivable.
You've all made some very good points.
Has anyone got tips of how to proceed after breaking it off?
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What you are feeling is normal. Because you were not prepared for this, you are in shock from the surprise of it all. Your emotional side hasn't had time to prepare, so you're going to feel doubt and question all logical ideas.
What you need to do is get your mind back into logical mode and ask yourself some simple questions and I'll bet you can come up with the right answers. For example, picture yourself on that altar with her and she's reciting her vows about being faithful to you for the rest of your lives. Would you believe her? She already has proven she's not willing to uphold those vows to you and you guys haven't even sealed the deal yet.
And here's another huge point you need to think about... When you remove the "vows" from marriage, essentially all you are is a financial team. All your assets become joint/mutual assets. All your finances become hers. And if you get far enough along and have kids, and she's still cheating on you, you have to deal with questions on whether the kid is even yours or not, and if you divorce then now you're stuck paying alimony to her while she gets custody and you're all alone and up a creek.
So as much as this hurts now, come back to the logical side and realize you have been given a true gift here... to see this woman for who she really is before you actually make some lifelong commitment to her with irreversible financial consequences.
I am truly sorry for your discovery and all the pain you must be enduring, but for that the TAM community is here for you to help you through this. However the one thing you need to do now is end your relationship with this girl... not tomorrow, not next week.... today. Be strong, and we will be here for you.