Chlorophyll is contained within the thylakoid membrane. Stroma is the space between the thylakoid membrane and the chloroplast membrane. The outer most part is the double membrane in which the whole chloroplast is housed. It is like the walls of the house.
Chloroplasts are surrounded by this double membrane and contain a third inner membrane which is the thylakoid membrane. This membrane forms long folds within the organelle. In electron micrographs, thylakoid membranes appear like stacks of coins.